Testing ambiguity theories with a mean-preserving design

• 成果类型: Article
• 署名作者: Yang, Chun-Lei; Yao, Lan
• 署名单位: Nanjing Audit University; Academia Sinica - Taiwan; Shanghai University of Finance & Economics
• 刊物名称: QUANTITATIVE ECONOMICS
• ISSN/ISSBN: 1759-7323
• DOI: 10.3982/QE460
• 发表日期: 2017
• 页码: 219-238
• 关键词: Ambiguity; Ellsberg paradox; expected utility; experiment; mean preserving; MONOTONICITY; partial ambiguity; second-order risk; source premium

摘要

Prominent models such as maxmin expected utility/alpha-multiprior (MEU/alpha-MP) and Klibanoff, Marinacci, and Mukerji (KMM) interpret ambiguity aversion as aversion against second-order risks associated with ambiguous acts. We design an experiment where the decision maker draws twice with replacement in the typical Ellsberg two-color urns, but with a different color winning each time. Given this set of mean-preserving prospects, MEU/alpha-MP, KMM, and Savage's subjective expected utility all predict unequivocally that risk-averse decision makers (DMs) will avoid the 50-50 urn that exhibits the highest risk conceivable, while risk-seeking DMs do the opposite. However, we observe a substantial number of violations in the experiments. It appears that the ambiguity premium is partially paid to avoid the ambiguity issue per se, which is distinct from notions of second-order risk. This finding is robust even when there is only partial ambiguity, and is applicable to all models that satisfy a monotonicity condition.